I'm not sure, but i think i found an error in the documentation of sf::Shader...
If I create a shader like this:
sf::Shader shader;
shader.loadFromFile("Shader.frag", sf::Shader::Fragment);
and use it like it says in the documentation:
m_RenderTexture.draw(m_Circle, shader);
I get an error. It works when I do this:
m_RenderTexture.draw(m_Circle, &shader);
Same with the example that uses the renderstates. I have to pass the address not the value, like it says in the documentation.